Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 20 18 19
Score 8.56 8.14 7.62
Market Cap (Millions USD) 2942.28 2744.49 2618.13
Predicted Beta 2.94 2.91 2.83
Idiosyncratic Volatility 2.75 2.9 2.92

Annualized return and volatility

IXN
Annualized Return 0.0829
Annualized Std Dev 0.2204
Annualized Sharpe (Rf=0%) 0.3763

Row

Daily Return Statistics

IXN
Observations 4630.0000
NAs 484.0000
Minimum -0.0844
Quartile 1 -0.0055
Median 0.0006
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0068
Maximum 0.1123
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0139
Skewness 0.0641
Kurtosis 5.3510

Downside Risk

IXN
Semi Deviation 0.0099
Gain Deviation 0.0100
Loss Deviation 0.0106
Downside Deviation (MAR=210%) 0.0145
Downside Deviation (Rf=0%) 0.0097
Downside Deviation (0%) 0.0097
Maximum Drawdown 0.5567
Historical VaR (95%) -0.0224
Historical ES (95%) -0.0335
Modified VaR (95%) -0.0207
Modified ES (95%) -0.0309
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 2012-03-13 -0.5567 1117 348 769
2001-12-07 2002-10-09 2007-01-04 -0.5551 1299 214 1085
2018-08-30 2018-12-24 2019-04-12 -0.2364 158 82 76
2015-12-07 2016-02-11 2016-07-12 -0.1487 152 47 105
2015-05-22 2015-08-24 2015-11-02 -0.1463 116 66 50

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IXN
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA NA NA NA 0.0 0.0 NA
2002 1.1 4.2 0.0 0.0 0.0 0.0 0.0 0.0 3.8 1.3 0.0 0.0 10.8
2003 0.0 0.0 0.0 -0.1 0.0 0.0 0.0 0.0 1.9 0.0 1.6 0.0 3.4
2004 0.0 0.2 1.9 0.0 -0.4 -1.3 0.0 0.5 2.1 0.4 1.4 0.0 4.8
2005 0.7 0.3 -0.2 0.0 1.0 0.2 0.0 0.0 0.0 -0.1 1.7 0.0 3.7
2006 0.4 1.4 0.0 -0.5 1.2 0.0 -1.5 0.5 0.0 -0.9 -1.1 0.0 -0.6
2007 -0.2 -0.6 0.0 0.4 0.6 0.0 1.7 0.0 0.9 -1.8 0.0 0.0 0.9
2008 1.8 0.0 3.2 3.1 0.0 -0.1 0.0 0.0 -0.4 0.0 -6.2 0.0 1.2
2009 0.0 0.0 2.5 1.3 3.4 0.6 0.0 -1.5 -2.6 0.0 1.9 0.0 5.5
2010 0.8 1.2 0.6 0.0 -1.1 -0.1 0.0 2.8 0.2 0.0 2.3 0.0 7.0
2011 1.8 -1.5 -0.1 0.0 -2.1 1.5 -0.3 -0.8 0.0 -2.7 0.2 0.0 -4.0
2012 1.0 0.3 0.0 0.2 -2.9 0.0 -0.4 0.0 -0.1 0.9 0.0 0.0 -1.0
2013 0.9 0.0 -0.9 -0.8 0.0 0.9 0.9 0.0 1.0 0.1 0.0 0.0 1.9
2014 0.0 0.0 1.2 -0.2 0.0 1.1 -0.7 0.0 -1.8 0.0 -0.8 0.0 -1.2
2015 0.0 0.0 -0.4 1.1 0.0 0.8 0.0 -3.2 0.1 0.0 1.1 0.0 -0.5
2016 0.2 2.8 0.4 0.0 -0.1 0.2 0.2 0.3 0.0 -0.7 -2.4 0.0 0.8
2017 0.6 1.4 0.0 0.8 0.3 0.0 0.4 0.1 0.0 0.4 -0.6 0.0 3.4
2018 -0.1 -1.8 0.0 1.0 1.8 0.0 0.8 0.0 0.7 1.3 0.0 0.0 3.6
2019 0.5 0.9 1.3 -0.2 0.0 1.5 -0.4 0.0 -0.8 1.5 0.0 -0.2 4.1

Row

Rolling Performance Chart

Snail Trail Chart